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Modelling Reality and Personal Modelling

  • Richard Flavell
Conference proceedings

Part of the Contributions to Management Science book series (MANAGEMENT SC.)

Table of contents

  1. Front Matter
    Pages I-VI
  2. Richard Flavell
    Pages 1-3
  3. Francesca Beccacece, Erio Castagnoli
    Pages 23-32
  4. Erio Castagnoli, Marco Li Calzi
    Pages 33-44
  5. Albert Corhay, A. Tourani Rad
    Pages 48-71
  6. Richard Flavell, Nigel Meade
    Pages 95-115
  7. Gianfranco Gambarelli
    Pages 116-127
  8. M. L. Gota, L. Peccati
    Pages 128-144
  9. Nigel Meade
    Pages 238-252
  10. Andrew C. Pollock, Mary E. Wilkie
    Pages 253-271
  11. Christian Starck, Matti Virén
    Pages 272-295
  12. Paul C. van Aalst, C. Guus E. Boender
    Pages 327-341
  13. D. van der Wijst
    Pages 356-373

About these proceedings

Introduction

The recent introduction of two European index options on the FTSE Eurotrack 100 and the Eurotop 100 is evidence of a demand from investors to hedge pan-European risk. The FTSE Eurotrack 100 was designed to closely resemble the longer established and widely quoted Morgan Stanley European index. The Eurotrack 100 covers a hundred companies in eleven countries in continental Europe. The index is denominated in DM and' a breakdown by value into the different countries covered is given in figure 1. Capitalisation weights for Figure 1 FT-SE Eurotrack 100 Index Norway mark Germany Italy Switzerland France Netherlands Another recently introduced European index is the Eurotop 100 index denominated in EeUs, this index contains twenty two UK companies which represent 27% by value of this index. The attraction of investments in these indices is that they provide a basis for weighted exposure to Europe, investors can then build on this 240 basis by investment in individual countries. The multinational context of the universe of shares defined by this index raises some new questions for the selection of portfolios, whether the portfolios are chosen for absolute performance or to track the index. Various possible objectives of portfolio selection will be discussed, in all cases the crucial role of the covariance matrix of returns is clear. The extra source of risk present in a multinational portfolio is the combination of country risk coupled with foreign exchange risk. Two models of the return covariance matrix are proposed and examined.

Keywords

Financing Finanzwirtschaft Funds Unternehmensforschung asset pricing controlling finance linear optimization management operations research simulation swaps

Editors and affiliations

  • Richard Flavell
    • 1
  1. 1.The Management SchoolImperial CollegeLondonUK

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-95900-4
  • Copyright Information Physica-Verlag Heidelberg 1993
  • Publisher Name Physica, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-7908-0682-3
  • Online ISBN 978-3-642-95900-4
  • Series Print ISSN 1431-1941
  • Buy this book on publisher's site
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